Allow me to show you how to make a dolphin theme on Windows 7
First: download anytheme on the internet
Second : open it ,look in "personalize"-"desktop background" see where it save
Third : take a screenshot(F9) on dolphin then go to folder "user-screenshot" cut the picture and paste to the theme's location

For people who love dolphin so much
Enjoys! Post your cool theme if you want

then you must install windows on dolphin like "vmware",not sure how to do it haha(joke)
Edit: If the dev tell me where the wii first boot image(how to safely use wiimote) locate and convert it to image file not bin file,may be I could replace it